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Bayes factors and nonlinearity: Evidence from economic time series1daggerdagger We thank Arnold Zellner, the Associate Editor, Luc Bauwens, Jacek Osiewalski, Dale Poirier and two anonymous referees for many useful suggestions, and Sid Chib for access to his Markov trend program. The views expressed are those of the authors and do not necessarily reflect those of the Federal Reserve Bank of New York or the Federal Reserve System.

Authors
Journal
Journal of Econometrics
0304-4076
Publisher
Elsevier
Publication Date
Volume
88
Issue
2
Identifiers
DOI: 10.1016/s0304-4076(98)00031-1
Keywords
  • Bayes Factor
  • Markov Chain Monte Carlo
  • Markov Trend Model
  • Threshold Autoregressive Model
Disciplines
  • Economics

Abstract

Abstract This paper argues in favor of a Bayesian approach to evaluating evidence of nonlinearity in economic time series over the classical approach that has been dominant in the applied literature. An application is presented concerning nonlinearity in US GNP.

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